Prerequisites: 16:958:563, and 16:198:443 or equivalent C++ course or permission of instructor. Modern simulation methods and advanced statistical computing techniques for financial applications. Introduction to Monte-Carlo simulation methods, variance reduction technique, the bootstrap methods, Markov chain Monte Carlo methods, Sequential Monte Carlo method, hidden Markov models, Bayesian methods, etc. Expect to use C++ and R for programming and data analysis. Emphasis on examples and applications from finance and risk management.
- Course Synopsis/Sample Syllabi: 958.587_simulation_.syl_8bbc3.pdf